Stochastic Variance Models in Discrete Time with Feedforward Neural Networks

DOI10.1162/NECO.2009.11-07-642zbMATH Open1196.62132DBLPjournals/neco/Andoh09OpenAlexW2105075483WikidataQ51847479 ScholiaQ51847479MaRDI QIDQ3497613FDOQ3497613

Charles Andoh

Publication date: 27 July 2009

Published in: Neural Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1162/neco.2009.11-07-642

zbMATH Keywords

GARCHstochastic volatilityfeedforward neural networkdouble learning

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Neural nets and related approaches to inference from stochastic processes (62M45)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Simulated Moments Estimation of Markov Models of Asset Prices
• Multivariate Stochastic Variance Models
• An algorithm for nonparametric GARCH modelling.
• Order statistics from the type i generalized logistic distribution

Cited In (4)

• An impulsive delay discrete stochastic neural network fractional-order model and applications in finance
• Modelling non-linear moving average processes using neural networks with error feedback: An application to implied volatility forecasting
• Stability analysis of stochastic fractional-order competitive neural networks with leakage delay
• Neural network stochastic differential equation models with applications to financial data forecasting

This page was built for publication: Stochastic Variance Models in Discrete Time with Feedforward Neural Networks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3497613)